使用多个GPU实现聚合风险分析的加速

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英文标题：
《Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs》
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作者：
A. K. Bahl, O. Baltzer, A. Rau-Chaplin, B. Varghese and A. Whiteway
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最新提交年份：
2013
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英文摘要：
  Stochastic simulation techniques employed for the analysis of portfolios of insurance/reinsurance risk, often referred to as `Aggregate Risk Analysis\', can benefit from exploiting state-of-the-art high-performance computing platforms. In this paper, parallel methods to speed-up aggregate risk analysis for supporting real-time pricing are explored. An algorithm for analysing aggregate risk is proposed and implemented for multi-core CPUs and for many-core GPUs. Experimental studies indicate that GPUs offer a feasible alternative solution over traditional high-performance computing systems. A simulation of 1,000,000 trials with 1,000 catastrophic events per trial on a typical exposure set and contract structure is performed in less than 5 seconds on a multiple GPU platform. The key result is that the multiple GPU implementation can be used in real-time pricing scenarios as it is approximately 77x times faster than the sequential counterpart implemented on a CPU.
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中文摘要：
用于分析保险/再保险风险组合的随机模拟技术，通常被称为“总体风险分析”，可以从开发最先进的高性能计算平台中获益。本文探讨了并行方法来加速支持实时定价的总风险分析。针对多核CPU和多核GPU，提出并实现了一种聚合风险分析算法。实验研究表明，相对于传统的高性能计算系统，GPU提供了一种可行的替代方案。在多个GPU平台上，在不到5秒钟的时间内，在一个典型的暴露集和契约结构上模拟1000000次试验，每次试验1000次灾难性事件。关键的结果是，多个GPU实现可以用于实时定价场景，因为它比在CPU上实现的顺序对应物快大约77倍。
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分类信息：

一级分类：Computer Science        计算机科学
二级分类：Distributed, Parallel, and Cluster Computing        分布式、并行和集群计算
分类描述：Covers fault-tolerance, distributed algorithms, stabilility, parallel computation, and cluster computing. Roughly includes material in ACM Subject Classes C.1.2, C.1.4, C.2.4, D.1.3, D.4.5, D.4.7, E.1.
包括容错、分布式算法、稳定性、并行计算和集群计算。大致包括ACM学科类C.1.2、C.1.4、C.2.4、D.1.3、D.4.5、D.4.7、E.1中的材料。
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一级分类：Computer Science        计算机科学
二级分类：Computational Engineering, Finance, and Science        计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Computer Science        计算机科学
二级分类：Data Structures and Algorithms        数据结构与算法
分类描述：Covers data structures and analysis of algorithms. Roughly includes material in ACM Subject Classes E.1, E.2, F.2.1, and F.2.2.
涵盖数据结构和算法分析。大致包括ACM学科类E.1、E.2、F.2.1和F.2.2中的材料。
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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关键词：风险分析 GPU Applications Experimental Catastrophic